申万期货品种策略日报：国债-20250822

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The central bank's monetary policy continues the loose approach, which supports short - term Treasury bond futures prices. However, the stock - bond seesaw effect will continue, with bond funds and deposits from residents and enterprises potentially flowing to non - bank sectors with higher returns, suppressing the bond market sentiment. Treasury bond futures prices may continue to weaken, and the cross - variety spread may also widen due to the resumption of VAT collection on government and financial bonds [3]. 3. Summary by Related Catalogs Futures Market - Price and Volume: On the previous trading day, Treasury bond futures prices generally rose. For example, the T2509 contract rose 0.13%, and the TL2512 contract had the highest increase of 0.49%. The trading volume of most contracts was relatively large, and the open interest of some contracts changed significantly, such as a decrease of 7131 in the TS2509 contract and an increase of 10400 in the TL2512 contract [2]. - Arbitrage Situation: The IRR of the CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2]. Short - term Market Interest Rates - Short - term market interest rates generally declined on the previous trading day. SHIBOR7 - day rate dropped 3.9bp, DR007 rate dropped 4.19bp, and GC007 rate dropped 10.6bp [2]. Spot Market - Domestic Treasury Bonds: Yields of key - term domestic Treasury bonds generally declined. The 10Y - term Treasury bond yield dropped 1.53bp to 1.77%, and the long - short (10 - 2) Treasury bond yield spread was 34.72bp [2]. - Overseas Treasury Bonds: Yields of key - term overseas Treasury bonds showed different trends. US Treasury bond yields generally rose, with the 10Y US Treasury bond yield rising 4bp. German 10Y and Japanese 10Y Treasury bond yields remained unchanged [2]. Macro News - Central Bank Operation: On August 21, the central bank conducted 2530 billion yuan of 7 - day reverse repurchase operations, with a net investment of 1243 billion yuan after 1287 billion yuan of reverse repurchases matured [3]. - PPP Project Financing: About 70% of PPP存量 projects have entered the operation period. There is room for reasonable interest rate cuts and extensions of loans for these projects, and financial institutions are encouraged to negotiate with social capital parties [3]. - New Policy Financial Tools: Since May this year, many places have held policy briefings or project preparation meetings for new policy - based financial tools with a capital scale of 5000 billion yuan, targeting emerging industries and infrastructure [3]. - Real Estate Market: As of August 2025, 20 troubled real - estate enterprises have had their debt restructuring and reorganization approved, with a total debt resolution scale exceeding 12000 billion yuan. Many listed enterprises have divested real - estate development business [3]. - International Trade: The EU and the US announced details of a new trade agreement. The US will impose a 15% tariff on most EU goods, while the EU will cancel tariffs on US industrial products and provide preferential market access for US seafood and agricultural products. The EU also plans to purchase large - scale US energy and AI chips [3]. - US Economic Data: The number of initial jobless claims in the US last week increased by 110,000 to 235,000, reaching a new high since June. The US August S&P Global Manufacturing PMI reached a new high since May 2022 [3]. Industry Information - Interest Rate Changes: On August 21, most money - market interest rates in China declined, while US Treasury bond yields rose across the board [3]. - Market Analysis: The 10 - year Treasury bond yield in China declined. The central bank's net investment, stable capital supply, and stable LPR quotes supported the short - term bond market. However, the stock - bond seesaw effect and other factors may lead to a weakening of Treasury bond futures prices [3].